Performance of maturity transformation strategies

Christoph Schmidhammer, Vanessa Hille and Arnd Wiedemann

No 58/2020, Discussion Papers from Deutsche Bundesbank

Abstract: This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both sample periods. During theperiod of low interest rates,dominant strategies can be observed for short-term and medium-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings-based perspective as well as froma market value-based perspective.

Keywords: Maturity Transformation; Bond Ladders; Period of Low Interest Rates; Performance; Interest Rate Risk (search for similar items in EconPapers)
JEL-codes: G11 G12 G21 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:582020

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